First, install VcXsrv from from vcxsrv on sourceforge.net

Install to and launch from Desktop Icon. Follow wizard, in Extra settings, check Disable access control: (otherwise you will get Permission Denied errors)

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To autoselect this setting, we recommend to save configuration:

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Then you can run configuration by double clicking file.

In WSL 2 Terminal export DISPLAY:

export DISPLAY=$(ip route list default | awk '{print $3}'):0
export LIBGL_ALWAYS_INDIRECT=1

you might want to add this to `.bashrc file

Jan 2025: In 2024 Windows Added native support of GUI apps . But seems like it is still very fresh and requires some tricks to make it work (I did not want to destroy my home dir in WSL so had not try it yet)